Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 10 | 5 | 5 |
| Score | -0.61 | -3.78 | -4.32 |
| Market Cap (Millions USD) | 190.73 | 184.81 | 196.23 |
| Predicted Beta | 0.2 | 0.19 | 0.2 |
| Idiosyncratic Volatility | 1.43 | 1.11 | 1.76 |
Annualized return and volatility
| FEU | |
|---|---|
| Annualized Return | 0.0502 |
| Annualized Std Dev | 0.2176 |
| Annualized Sharpe (Rf=0%) | 0.2306 |
Row
Daily Return Statistics
| FEU | |
|---|---|
| Observations | 4399.0000 |
| NAs | 715.0000 |
| Minimum | -0.1007 |
| Quartile 1 | -0.0053 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1542 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0137 |
| Skewness | -0.1920 |
| Kurtosis | 10.3288 |
Downside Risk
| FEU | |
|---|---|
| Semi Deviation | 0.0100 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0146 |
| Downside Deviation (Rf=0%) | 0.0099 |
| Downside Deviation (0%) | 0.0099 |
| Maximum Drawdown | 0.6245 |
| Historical VaR (95%) | -0.0210 |
| Historical ES (95%) | -0.0343 |
| Modified VaR (95%) | -0.0201 |
| Modified ES (95%) | -0.0315 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2018-01-19 | -0.6245 | 2617 | 348 | 2269 |
| 2018-01-29 | 2018-12-24 | NA | -0.2189 | 490 | 233 | NA |
| 2002-11-22 | 2003-03-12 | 2003-05-07 | -0.2015 | 117 | 78 | 39 |
| 2006-05-10 | 2006-06-13 | 2006-09-01 | -0.1263 | 82 | 24 | 58 |
| 2007-07-13 | 2007-08-16 | 2007-10-01 | -0.1257 | 57 | 25 | 32 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | FEU | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 | 0.0 | 0 | 1.7 |
| 2003 | 0.0 | 0.0 | 2.2 | -1.3 | 0.0 | 0.1 | -1.4 | 0.0 | 1.1 | 0.0 | 1.6 | 0 | 2.3 |
| 2004 | 0.0 | 1.1 | 0.8 | 0.0 | -0.7 | -1.6 | 0.0 | 0.1 | 0.7 | 0.8 | 1.7 | 0 | 2.9 |
| 2005 | 1.1 | 0.4 | -1.5 | 0.0 | 1.3 | 0.0 | 1.2 | 1.8 | 0.0 | 0.3 | 1.3 | 0 | 6.2 |
| 2006 | -0.1 | 0.7 | 0.0 | 0.0 | 0.6 | 0.0 | -0.9 | 0.6 | 0.0 | -0.4 | -0.9 | 0 | -0.4 |
| 2007 | 0.8 | -1.4 | 0.0 | -0.1 | 0.6 | 0.0 | -0.3 | 0.0 | 1.0 | -2.8 | 0.0 | 0 | -2.3 |
| 2008 | 1.7 | 0.0 | 3.6 | 1.0 | 0.0 | -1.1 | -0.1 | 0.0 | 0.2 | 0.0 | -7.2 | 0 | -2.3 |
| 2009 | 0.0 | 0.0 | 0.9 | 1.9 | 2.9 | 1.9 | 0.0 | -2.9 | -2.8 | 0.0 | 2.7 | 0 | 4.5 |
| 2010 | 2.0 | 0.5 | 1.6 | 0.0 | -0.8 | 1.9 | 0.0 | 4.1 | -0.7 | 0.0 | 3.2 | 0 | 12.4 |
| 2011 | 2.2 | -1.5 | 0.2 | 0.0 | -2.1 | 0.6 | -2.8 | -0.8 | 0.0 | -3.9 | 0.1 | 0 | -7.9 |
| 2012 | 1.9 | 0.9 | 0.0 | 1.9 | -1.8 | 0.0 | 0.5 | 0.0 | 0.9 | 1.2 | 0.0 | 0 | 5.5 |
| 2013 | 0.8 | -0.6 | -0.4 | -0.5 | 0.0 | 0.8 | 0.9 | 0.0 | 0.5 | -0.6 | 0.0 | 0 | 0.8 |
| 2014 | 0.0 | 0.0 | 0.5 | 0.3 | 0.0 | 0.8 | -0.8 | 0.0 | -1.0 | 0.0 | -0.2 | 0 | -0.5 |
| 2015 | 0.0 | 0.0 | 0.9 | 0.4 | -0.9 | 0.3 | 0.0 | -2.9 | -0.1 | 0.0 | 0.8 | 0 | -1.5 |
| 2016 | -0.1 | 2.6 | -1.0 | 0.0 | -0.1 | -0.1 | -1.1 | 0.2 | 0.0 | -0.5 | -0.4 | 0 | -0.5 |
| 2017 | 0.4 | 1.1 | 0.0 | 0.5 | 0.3 | 0.0 | 0.4 | 0.2 | 0.0 | -0.1 | -0.2 | 0 | 2.7 |
| 2018 | -0.4 | -1.1 | 0.0 | -0.6 | 0.9 | 0.0 | -0.8 | 0.0 | -0.1 | 1.5 | 0.0 | 0 | -0.7 |
| 2019 | 0.2 | 0.5 | 1.0 | -0.8 | 0.0 | 0.2 | -0.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0 | 1.0 |
Row
Rolling Performance Chart
Snail Trail Chart
